סמינר במימון חשבונאות

Title:     Selection Bias & Investor Inattention on Friday (co-authored with Roni Michaely & Alexander Vedrashko

Abstract:

We report reduced market response to Friday announcements of dividend changes, seasoned equity offerings, and stock repurchases, which, together with studies that document reduced response for earnings and mergers, could represent robust evidence of investor inattention on Friday. Next, we show that inattention is not the reason for the reduced reaction to Friday announcements; rather, these findings are an outcome of selection bias in that firms that make their announcements on Friday experience reduced market response on any weekday. After correcting for selection bias, there is no difference in market reaction between Friday and other weekdays for all announcement types.

The article is available for download from the Finance-Accounting seminar website:

http://en-recanati.tau.ac.il/Finance-Accounting-Seminars2015b